我国股指期权对现货市场的波动性影响研究

发布时间：2018-03-13 19:36

本文选题：上证ETF期权　切入点：现货市场　出处：《数学的实践与认识》2017年04期 　论文类型：期刊论文

【摘要】：2015年2月9日,上证50ETF期权在上交所正式上市交易,我国资本市场进入期权时代.股指期权推出是否会使我国现货市场大幅波动直接影响着我国证券市场的发展和稳定,首次以我国上证50ETF期权为研究对象,使用GARCH模型和TARCH模型对我国股指期权推出后现货市场的波动性进行了研究.实证结果表明,我国股指期权的推出使现货市场的波动性增大,并且波动存在非对称性;在上证50ETF期权推出后利好消息对现货市场的波动性影响减小而利空消息对现货市场的波动性影响增大,即不对称性加大.最后,基于实证分析结果分析我国股指期权推出后导致现货市场波动增大的原因,并为我国现货市场的风险管理以及沪深300指数期权的正式推出提供参考意见.
[Abstract]:In February 9th 2015, the Shanghai 50 ETF option was officially traded on the Shanghai Stock Exchange, and China's capital market entered the option era. Whether the stock index option could make the spot market of our country fluctuate greatly will directly affect the development and stability of China's securities market. For the first time, using the GARCH model and the TARCH model to study the volatility of the spot market after the launch of the stock index option, the empirical results show that the introduction of the stock index option in China increases the volatility of the spot market. And there is asymmetry in volatility. After the introduction of Shanghai 50ETF option, the impact of good news on spot market volatility is reduced, and the impact of bad news on spot market volatility is increased, that is, asymmetry is increased. Based on the results of empirical analysis, this paper analyzes the causes of the volatility of spot market after the introduction of stock index options in China, and provides some suggestions for the risk management of China's spot market and the formal launch of CSI 300 index options.
【作者单位】：北京工商大学经济学院;中国科学院数学与系统科学研究院;
【基金】：北京工商大学两科基金培育项目(LKJJ2016-03) 科技成果转化——提升计划项目(PXM2015_014213-000061) 首都流通业研究基地(JD-YB-2016-029)
【分类号】：F724.5

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